Kalman
polars_ts.streaming.kalman
Online Kalman filter with single-observation updates.
StreamingKalmanFilter
Kalman filter supporting incremental single-observation updates.
Extends the batch KalmanFilter with an update() method for
processing observations one at a time in a streaming context.
Parameters
F
State transition matrix (n, n).
H
Observation matrix (m, n).
Q
Process noise covariance (n, n).
R
Observation noise covariance (m, m).
x0
Initial state mean (n,). Defaults to zeros.
P0
Initial state covariance (n, n). Defaults to diffuse prior.
fit(y)
Initialize filter by processing a batch of observations.
Parameters
y
Observations array of shape (T,) or (T, m).
update(observation)
Process a single new observation, updating state in-place.
Parameters
observation
Scalar or array of shape (m,).
predict(h)
Predict h steps ahead from current state.
Returns
predictions
Array of shape (h,) — predicted observation means.
_step(x, P, yt, n, m)
Single predict-update cycle.